Get theoretical price of options at fixed delta

G

gowthamn

Can I get the price of options for a symbo, like SPX, for an expiration, like Dec 18 2020, at Delta 20 (even if there is no leg at EXACTLY 20 delta).

Where can I get such calculated prices. I am willing to pay for it too. I need the data in real time.
 
gowthamn said:
Can I get the price of options for a symbo, like SPX, for an expiration, like Dec 18 2020, at Delta 20 (even if there is no leg at EXACTLY 20 delta).

Where can I get such calculated prices. I am willing to pay for it too. I need the data in real time.
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If you have an IV at hand, or can extrapolate one by looking at the available other data,
then you can simply calculate it by using an options calculator, like this one:
https://www.optioncreator.com/options-calculator
 
Delta is calculated from the option’s price, so first you need to have the prices of options to find out which one is at 20 Delta.
 
guru said:
Delta is calculated from the option’s price, so first you need to have the prices of options to find out which one is at 20 Delta.
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But if you have the previous data incl. Greeks, plus the spot change and vola change since then, then it should be possible to do...
 
thecoder said:
But if you have the previous data incl. Greeks, plus the spot change and vola change since then, then it should be possible to do...
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What’s vola change? Historical vol or IV? Because IV is also derived from option prices, while option prices are partially based on demand. For example if some news hits or someone simply starts buying large qty of options then the price will start going up, driving the IV up and changing deltas as well.
I see this on less liquid options when sometimes I buy only 10 options and see computers immediately adjusting the prices up, maybe in case I know something that they haven’t priced in yet, or just treating me like a desperate buyer.
 
thecoder said:
Delta = N(d1)
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Not sure how it helps the OP, but go ahead and help him.
Btw, I’m not sure if understood the OP’s question correctly. Whether he wants to calculate any option price (and strike?) based on just delta, or he may be asking how to fill-in a missing option price & delta between other known prices and deltas - this probably could be approximated.
An example of all known and unknown variables may be needed, otherwise we all may be discussing different things.
 
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Why don't you see this data on the daily chart, now almost all brokerage companies provide access to advanced charts that allow you to assess the situation as accurately as possible. But I'm not 100% sure about this, and there is always a certain error, which can lead to the fact that you will not be able to find exactly the data you need. I think that under all circumstances you'd better focus on some stable classical levels that are tested by time and some changes in the market. But these are only my recommendations, because sometimes traders use absolutely unexpected approaches, which are not popular and at the same time get much more confident profit.
 
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